Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context … Shanken's mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for … i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once …